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The Probability of a Trade at the Ask: An Examination of Interday and Intraday Behavior

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References

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1985An Investigation of Transactions Data for NYSE Stocks

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2005Bid–ask bounce and the measurement of price behavior around block trades on the Australian Stock Exchange23 cited
1993Day-of-the-Week Effect22 cited
1995An Intraday Analysis of the Probability of Trading on the ASX at the Asking Price21 cited
1991On the Seasonalities of Mortgage-Backed Security Prices18 cited